Why MLP cannot approximate a closed shape function?
In neural networks, the family of functions and the shapes that they can make for decision surfaces is determined by the activation function you use (in your case, tanh or hyperbolic tangent). 

Assuming at least one hidden layer, then the universal approximation theorem applies. How closely you can approximate any given function is limited by the number of neurons, and not strongly by the choice of activation function. However, the choice of activation function is still relevant to how good an approximation is. When you get to low numbers of neurons in a hidden layer, then the approximations are more strongly tied to the nature of the activation function.

With one neuron in a hidden layer, you can only approximate some affine transformation of the activation function. Other low numbers, such as 2, 3 etc, will still show strong tendencies for certain families of shapes. This is very similar conceptually to using limited number of frequencies in a Fourier transform - if you limit yourself to only $a_1 \text{sin}(x) + a_2 \text{sin}(2x)$ to approximate a function, then you will definitely notice the sinusoidal building blocks in any output.

I suspect that if you changed the activation function in the first hidden layer to $f(x) = x^2$ then you could get a good result with two neurons per layer. If you then took that network and tried to train it on a simple linear split, it would fail, always producing some curved closed surface that covered the training examples as best that it could - kind of the opposite problem as you are seeing with your circular pattern fitted to NN with tanh activations throughout.

One interesting thing about using $f(x) = x^2$ is that this is a deliberate choice (given knowledge about how you constructed the example) to map your input space to a new space where examples can be linearly separated. In fact this appears to be what layers in multi-layer NNs learn - each layer incrementally and progressively maps its input space to a new space where examples can be better separated in a linear fashion.